To make the donut dough, combine the whole milk, egg and yeast in a stand mixer bowl and stir to combine. Pour directly on top the all purpose flour, sugar and salt. Place bowl onto mixer and knead for 10 minutes using the dough hook, push the dough down periodically if it climbs up the hook. Add the butter and knead for another 5 minutes. Remove dough from the bowl and shape into a smooth round ball and place it into another clean bowl that has been sprayed with pan spray and cover with plastic wrap. Place the dough in a warm spot and allow to rise for about 2 hours or until the dough has doubled in size.
Punch down the dough and rest for another 30 minutes. At this point it is a good idea to begin heating your sunflower oil for frying, heat to 325 degrees F. Sift flour over your workspace and turn out the dough. Sift more flour on top of the dough Using a rolling pin roll the dough to about 1/2 inch thick. Punch out desired shape of donuts
For the apple filling, melt the butter over a medium-high flame in a medium size sauté pan. Add the vanilla pod and the scrapings from inside, heat this in the melted butter for about a minute. Add in the already prepared apples and stir well. Add the sugar and stir well, allow the sugar to melt and become syrupy, about 2 minutes. Add all of the spices and cook for another 2 minutes. Finish with a pinch of salt and the lemon juice. The mixture should be thickened and stay together in the pan. Pour into a small pan, cover and refrigerate until cooled.
Fill the shaped donuts with the apple filling and pinch around the edges. Drop into fryer and cook for about 1 minute on each side, depending on how big the donuts are. Safely remove them and place onto paper towels to absorb excess oil. Toss in cinnamon sugar.